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Finite-Sample Properties of Some Alternative GMM Estimators |
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| Authors: | Lars Peter Hansen John Heaton Amir Yaron |
| Institution: | 1. Department of Economics , University of Chicago , Chicago , IL , 60637;2. Kellogg Graduate School of Management, Northwestern University , Evanston , IL , 60208;3. G.S.I.A., Carnegie Mellon University , Pittsburgh , PA , 15213 |
| Abstract: | We investigate the small-sample properties of three alternative generalized method of moments (GMM) estimators of asset-pricing models. The estimators that we consider include ones in which the weighting matrix is iterated to convergence and ones in which the weighting matrix is changed with each choice of the parameters. Particular attention is devoted to assessing the performance of the asymptotic theory for making inferences based directly on the deterioration of GMM criterion functions. |
| Keywords: | Asset pricing Generalized method of moments Monte Carlo |